Question: How are they getting 1.92? Use the duration model to approximate the change in the market value (per $100 face value) of two-year loans if

How are they getting 1.92? How are they getting 1.92? Use the duration model to approximate the

Use the duration model to approximate the change in the market value (per $100 face value) of two-year loans if interest rates increase by 100 basis points. $1.756+$98.24$1.775+$1.924$1.000 Modified Duration MD=(1+R)D=(1.0815)1.92=1.775 Dollar Duration DollarDuration=MDP=1.775100=177.50 Change in Price P=DollarDurationR=177.500.01=$1.775

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